Smoke Generator does not work
It sounds like you managed to simulate the smoke, but you can't render it. The reason is probably one of two:


You're using Cycles in a old Blender Version
You're using Blender internal, but haven't yet setup a material.


If you're trying to use Cycles to render smoke, it is possible now. Volumetric shading (the shader that makes smoke) is initial supported since 2.71. (see Release Log)

Setting up a smoke material is kind of difficult, so read the docs if you want all the details (they also have some screenshots if you get lost).

Here's a quick rundown of how to create the material:


Make sure you're using Blender Internal.
Select Volume from the material type (right between wire and halo)
Set the density to zero (we'll be affecting the density with the texture)
Go to the texture tab and create a new texture.
Change the texture type to voxel data.
In the Voxel data panel, do two things:

Set the file format to smoke
Set the domain object with your domain object's name

Scroll down to the influence panel
Check Density, Emission and Emission Color and leave them all at 1.000.
Hit Render!